DBRS Confirms Ratings on Notes issued by Salus CLO 2012-1, Ltd. and Removes Under Review with Developing Implications

DBRS, Inc. (“DBRS”) has today taken the following rating actions to notes issued by Salus 2012-1, Ltd. pursuant to the Salus 2012-1, Ltd. Amended and Restated Indenture dated as of September 19, 2013.

The ratings on the Class A-1 Notes, the Class A-2 Notes and the Class B Notes address the timely payment of interest and the ultimate payment of principal on or before their respective Stated Maturity (as defined in the Indenture referred to above). The ratings on the Class C Notes, the Class D Notes and the Class E Notes address the ultimate payment of interest and the ultimate payment of principal on or before their respective Stated Maturity (as defined in the Indenture referred to above).

The Notes issued by Salus CLO 2012-1, Ltd. are collateralized by a portfolio of primarily senior secured middle market loans originated by Salus Capital Partners, LLC (“Salus”), a subsidiary of Harbinger Group, Inc. Salus Capital Partners II, LLC, a subsidiary of Salus, will act as the collateral manager for Salus CLO 2012-1 Ltd.
DBRS has also removed the Under Review with Developing Implications designation from the rating. The rating action reflects the conclusion of the review to determine the impact of the updated methodology “Rating CLOs and CDOs of Large Corporate Credit.”

Key changes to the methodology include (a) updates to the Stressed Default Rate calculations, including a new DBRS CLO Asset Model that replaces the DBRS Large Pool Model (b) increased recovery rates for senior secured loans, reflecting an increased expectation for recovery, particularly at the A (sf) through BB (sf) stress levels (c) decreased recovery rates for senior unsecured bonds (d) new stress for covenant-lite loans at the AAA (sf) and AA (sf) stress levels and (e) the removal of regional correlation factors.

The principal methodology applicable to this transaction is “Rating CLOs and CDOs of Large Corporate Credit” which can be found on our website under Methodologies.

This credit rating has been issued outside the European Union (EU) and may be used for regulatory purposes by financial institutions in the EU.

Note:
All figures are in U.S. dollars unless otherwise noted.